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Peer Momentum

by Efdal Ulas Misirli, Daniela Scida, and Mihail Velikov, DC-Area Junior Conference

Economic Narratives and Market Outcomes: A Semi-supervised Topic Modeling Approach

by Dat Mai and Kuntara Pukthuanthong, MFA Annual Meeting

The Temporal Structure of Risk and the Cross-Section of Equity Returns

by Shane Miller, AFA Annual Meeting

Skewness and time-varying second moments in a nonlinear production network: theory and evidence

by Ian Dew-Becker, Alireza Tahbaz-Salehi, and Andrea Vedolin, Shanghai Financial Forefront Symposium

A Structural Model of Interbank Network Formation and Contagion

by Patrick Coen and Jamie Coen, SaMMF OTC Markets Workshop

Non-Market Factors and the CAPM: the Market Index Effect
by Michael F. Ferguson, Babak Lotfaliei, and Timothy E. Trombley, FMA Virtual Conference


One Vol to Rule Them All: Common Volatility Dynamics in Factor Returns
by Nishad Kapadia, Matthew Linn, and Bradley S. Paye, EFA Annual Meeting

Risk Factors that Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns
by Alejandro Lopez-Lira, SFS Cavalcade NA 2020


A Toolkit for Factor-Mimicking Portfolios
by Kuntara Pukthuanthong, Richard Roll, Junbo Wang, Tengfei Zhang, CICF 2019


by Kewei Hou, Haitao Mo, Chen Xue, and Lu Zhang, Carey Finance Conference


Factors that Fit the Time Series and Cross-Section of Stock Returns
by Martin Lettau, Markus Pelger, SFS Cavalcade NA 2019

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